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Horizon problems and extreme events in financial risk management
Christoffersen, Peter F.; Diebold, Francis Xavier; … - In: Economic policy review 4 (1998) 3, pp. 109-118
Persistent link: https://www.econbiz.de/10009921369
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Scale Models - Why scaling up risk by the square root of time is an even worse approximation than you might expect
Diebold, Francis; Hickman, Adrew; Inoue, Atsushi; … - In: Risk : managing risk in the world's financial markets 11 (1998) 1, pp. 104-107
Persistent link: https://www.econbiz.de/10007065402
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Scale Models - Why scaling up risk by the square root of time is an even worse approximation than you might expect
Diebold, Francis; Hickman, Adrew; Inoue, Atsushi; … - In: Risk : managing risk in the world's financial markets 11 (1998) 1, pp. 104-107
Persistent link: https://www.econbiz.de/10007065420
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VOLATILITY ESTIMATION: GREAT REALISATIONS - In a world of continuous trading, accurate estimation of realised volatility is vital. In the first of two empirically flavoured papers, the authors show how high-frequency data can be used in an optimal way.
Andersen, Torben; Bollerslev, Tim; Diebold, Francis; … - In: Risk : managing risk in the world's financial markets 13 (2000) 3, pp. 105-109
Persistent link: https://www.econbiz.de/10007051059
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LIQUIDITY: LIQUIDITY ON THE OUTSIDE - There is a demand for porfolio-independent measures that reflect market behaviour. The authors suggest a possible route towards this goal.
Bangia, Anil; Diebold, Francis; Schuermann, Til; … - In: Risk : managing risk in the world's financial markets 12 (1999) 6, pp. 68-74
Persistent link: https://www.econbiz.de/10007056823
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On Cointegration and Exchange Rate Dynamics
Diebold, Francis X.; Gardeazabal, Javier; Yilmaz, Kamil - In: The journal of finance : the journal of the American … 49 (1994) 2, pp. 727-736
Persistent link: https://www.econbiz.de/10006600358
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Applications and Case Studies - Weather Forecasting for Weather Derivatives
Campbell, Sean D.; Diebold, Francis X. - In: Journal of the American Statistical Association : JASA 100 (2005) 469, pp. 6-16
Persistent link: https://www.econbiz.de/10006607882
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Applications and Case Studies - The Distribution of Realized Exchange Rate Volatility
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - In: Journal of the American Statistical Association : JASA 96 (2001) 453, pp. 42-55
Persistent link: https://www.econbiz.de/10006621332
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The macroeconomy and the yield curve: a dynamic latent factor approach
Diebold, Francis X.; Rudebusch, Glenn D.; Boragˇan … - In: Journal of econometrics 131 (2006) 1, pp. 309-338
Persistent link: https://www.econbiz.de/10006747790
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Forecasting the term structure of government bond yields
Diebold, Francis X.; Li, Canlin - In: Journal of econometrics 130 (2006) 2, pp. 337-364
Persistent link: https://www.econbiz.de/10006748295